Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 15 (3D) | Dec 16 (4D) | Dec 17 (5D) | Dec 18 (6D) | Dec 19 (7D) | Dec 22 (10D) | Dec 23 (11D) | Dec 24 (12D) | Dec 25 (13D) | Dec 26 (14D) | Jan 02 (21D) | Jan 09 (28D) | Jan 16 (35D) | Jan 23 (42D) | Jan 30 (49D) | Feb 06 (56D) | Feb 13 (63D) | Feb 20 (70D) | Feb 27 (77D) | Mar 06 (84D) | Mar 13 (91D) | Mar 20 (98D) | Mar 27 (105D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 672.031 | 670.526 | 669.20 | 668.002 | 666.899 | 663.998 | 663.131 | 662.303 | 661.508 | 660.744 | 656.021 | 652.039 | 648.53 | 645.359 | 642.442 | 639.728 | 637.178 | 634.766 | 632.473 | 630.281 | 628.179 | 626.156 | 624.205 |
| upper | 691.489 | 692.994 | 694.32 | 695.518 | 696.621 | 699.522 | 700.389 | 701.217 | 702.012 | 702.776 | 707.499 | 711.481 | 714.99 | 718.161 | 721.078 | 723.792 | 726.342 | 728.754 | 731.047 | 733.239 | 735.341 | 737.364 | 739.315 |
| expected move | 9.729 | 11.234 | 12.56 | 13.758 | 14.861 | 17.762 | 18.629 | 19.457 | 20.252 | 21.016 | 25.739 | 29.721 | 33.23 | 36.401 | 39.318 | 42.032 | 44.582 | 46.994 | 49.287 | 51.479 | 53.581 | 55.604 | 57.555 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
